In order to play a multiplayer game over the internet, you have to setup port forwarding to enable players to connect the host. Stratagus uses port 6660 by default (if you wish to change the port, use -P <number> when running the executable). There are plenty of guides out on how to port forward. PC World has a one. If that doesn't work, make sure Stratagus is cleared with your firewall (I just turn it off).